CSV Options History — September 2014

In September 2014, CSV traded between $17.33 and $18.86. ATM implied volatility averaged 32.7%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 14.0% (HV 20d: 18.7%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.16.

Notable Days

2014-09-24: Highest Volume — 410 contracts
2014-09-04: Largest IV spike — 45.9% change
2014-09-18: Highest IV Rank — 77.0%
2014-09-16: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.32	$17.33	$18.86	$18.86	$17.33
Max Pain	$16.43	$15.00	$22.50	$22.50	$15.00
ATM IV	32.7%	21.4%	37.3%	21.4%	32.1%
Expected Move	9.6%	9.2%	9.8%	9.4%	9.4%
HV 20d	18.7%	13.2%	41.5%	41.5%	15.1%
HV 60d	28.4%	27.6%	29.5%	29.2%	27.9%
IV Rank	58.3%	12.1%	77.0%	12.1%	55.9%
IV Percentile	50.1%	0.8%	89.3%	0.8%	35.7%
Term Structure	0.3%	-3.5%	9.3%	9.3%	1.2%
VWIV	36.9%	34.1%	38.9%	37.1%	35.9%
Skew 25d	7.0%	1.1%	17.2%	17.2%	1.1%
Skew 10d	9.2%	1.7%	28.1%	12.4%	1.7%
Call IV 25d	28.0%	21.4%	31.6%	21.4%	31.6%
Put IV 25d	35.0%	32.6%	42.9%	38.6%	32.6%
Bid-Ask Spread %	64.14	58.82	68.05	61.58	67.36
Gamma HHI	0.61	0.51	0.73	0.60	0.70
Net GEX	24.3K	13.2K	47.7K	13.2K	47.7K
Net DEX	-2.0M	-2.8M	-1.3M	-1.4M	-2.8M
Net VEX	-3.9K	-8.2K	-2.2K	-2.2K	-8.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	1.40	0.00	0.03
Total Volume	117.905	0	410	62	310
Total OI	1,710	1,114	3,087	1,114	3,087

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-09-02	$18.86	$22.50	21.4%	9.4%	41.5%	12.1%	0.0%	17.2%	9.3%	13.2K	-1.4M	-2.2K	0.00	61.58	62	0	956	158
2014-09-03	$18.83	$22.50	23.1%	9.3%	41.5%	19.0%	0.0%	10.4%	9.1%	15.5K	-1.4M	-2.3K	0.00	61.03	2	0	979	158
2014-09-04	$18.41	$22.50	33.6%	9.5%	18.9%	62.1%	0.0%	9.2%	3.6%	15.8K	-1.3M	-2.4K	0.00	61.91	0	4	979	158
2014-09-05	$18.50	$22.50	30.6%	9.7%	18.5%	49.6%	37.1%	2.6%	-1.0%	16.2K	-1.3M	-2.3K	0.01	58.82	305	2	979	162
2014-09-08	$18.56	$15.00	32.6%	9.7%	18.2%	58.0%	0.0%	5.1%	0.3%	20.1K	-1.7M	-3.0K	0.00	63.17	0	0	1,234	164
2014-09-09	$18.52	$15.00	34.2%	9.6%	18.1%	64.3%	0.0%	2.8%	-1.3%	20.2K	-1.7M	-3.0K	0.00	63.19	0	0	1,234	164
2014-09-10	$18.60	$15.00	35.6%	9.8%	17.7%	70.1%	0.0%	5.0%	-1.5%	20.5K	-1.8M	-3.0K	0.00	63.53	0	0	1,234	164
2014-09-11	$18.62	$15.00	35.9%	9.8%	17.7%	71.2%	0.0%	5.7%	-2.8%	20.5K	-1.8M	-2.8K	0.00	64.16	0	0	1,234	164
2014-09-12	$18.54	$15.00	33.8%	9.7%	17.6%	62.7%	0.0%	3.8%	-1.0%	20.4K	-1.7M	-2.9K	0.00	63.16	0	8	1,234	164
2014-09-15	$18.45	$15.00	35.1%	9.7%	17.5%	68.2%	0.0%	3.4%	-2.3%	20.7K	-1.7M	-2.8K	0.00	64.54	0	0	1,234	164
2014-09-16	$18.57	$15.00	35.2%	9.8%	15.9%	68.4%	0.0%	5.2%	-0.7%	20.6K	-1.8M	-2.9K	0.00	62.22	100	0	1,234	164
2014-09-17	$18.63	$15.00	34.3%	9.8%	15.6%	64.7%	0.0%	5.7%	-1.1%	21.4K	-1.9M	-3.0K	0.00	63.33	0	0	1,334	164
2014-09-18	$18.61	$15.00	37.3%	9.7%	15.6%	77.0%	0.0%	6.9%	-3.5%	22.8K	-1.9M	-3.1K	0.00	63.42	0	0	1,333	157
2014-09-19	$18.26	$15.00	34.4%	9.6%	14.7%	65.1%	0.0%	10.5%	-2.2%	23.6K	-1.9M	-3.0K	0.19	65.16	139	26	1,333	157
2014-09-22	$18.22	$15.00	35.2%	9.7%	13.2%	68.5%	38.6%	10.5%	-1.6%	26.4K	-2.0M	-3.3K	0.21	64.77	300	64	1,472	149
2014-09-23	$17.91	$15.00	31.9%	9.6%	14.4%	55.0%	34.1%	6.5%	2.0%	29.9K	-2.3M	-4.7K	0.02	65.89	201	4	1,772	213
2014-09-24	$18.08	$15.00	34.0%	9.7%	14.5%	63.4%	38.7%	7.8%	-0.7%	33.2K	-2.7M	-5.5K	1.40	68.05	171	239	1,972	213
2014-09-25	$17.78	$15.00	33.2%	9.6%	15.4%	60.3%	37.1%	5.8%	-0.5%	28.4K	-2.4M	-6.4K	0.00	67.79	220	0	2,101	452
2014-09-26	$17.73	$15.00	32.1%	9.2%	15.4%	56.0%	35.0%	5.7%	0.5%	34.3K	-2.7M	-7.0K	0.08	66.46	130	10	2,321	452
2014-09-29	$17.66	$15.00	31.4%	9.4%	15.1%	53.0%	38.9%	15.7%	1.4%	37.8K	-2.8M	-7.4K	0.03	67.43	174	5	2,451	462
2014-09-30	$17.33	$15.00	32.1%	9.4%	15.1%	55.9%	35.9%	1.1%	1.2%	47.7K	-2.8M	-8.2K	0.03	67.36	300	10	2,625	462